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Is the Access DB local to your SQL server, or on a remote system? I have sometimes had problems accessing remote Access databases, though those were usually on a different subnet, and it was Access preventing the connection because of it's "security" settings.

Is the database password protected?
Have you set up the proper security context?

If it is not protected, right-click on your Linked Server, and select Properties.
On the Security tab, select the last radio button "Be made with the security context:", and enter Admin as the remote login with no password.